New Issue: RBC prices $2 million digital notes linked to two-year SOFR ICE swap rate

By Wendy Van Sickle

Columbus, Ohio, Jan. 26 – Royal Bank of Canada priced $2 million of 0% digital notes due Feb. 6, 2024 linked to the two-Year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the swap rate finishes at or above its strike value or falls by up to 50%, the payout at maturity will be par plus the contingent digital return of 12%.

If the swap rate falls by more than 50%, investors will lose 1% for every 1% that the rate declines below its strike value.

RBC Capital Markets, LLC is the agent. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.

Issuer:	Royal Bank of Canada
Issue:	Digital notes
Underlying rate:	Two-Year U.S. dollar SOFR ICE swap rate
Amount:	$2 million
Maturity:	Feb. 6, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If the swap rate finishes at or above its strike value or falls by up to 50%, par plus 12%; otherwise, full exposure to decline from initial rate
Initial rate:	4.115%
Buffer level:	2.0575%, 50% of strike rate
Pricing date:	Jan. 23
Settlement date:	Jan. 26
Agent:	RBC Capital Markets, LLC
Placement agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
Fees:	1%
Cusip:	78014RKP4

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